The problem isn't with SONAR, which uses multithreading quite well, but with plugins. In a heavily-loaded project, 90% or more of the processing time may be spent within plugins. Having a highly-optimized engine doesn't do much good when relatively few of the total CPU cycles are spent there.
SONAR has to treat each track as a single thread due to the fundamentally sequential nature of the signal chain. It can spawn threads for things like video updates, but the audio signal flow within a given track is necessarily a do-this-then-do-that serial process. Consequently, any one plugin in the track's fx bin can dictate the efficiency with which audio is processed in that track.
Some plugins support multi-threading, but most do not. Of the ones that do, most actually work better single-threaded because what's happening within the plugin is also serial in nature.
So yes, SONAR is multi-threaded and makes good use of multiple cores and multiple CPUs, but ultimately it's the third-party components that determine overall system load and efficiency.